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Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters

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2004Nearly-Optimal Asset Allocation in Hybrid Stock Investment Models69 cited
2006Minimizing the probability of lifetime ruin under borrowing constraints61 cited
1999Optimal investment and consumption models with non-linear stock dynamics

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57 cited

1994Numerical schemes for investment models with singular transactions50 cited

2000Consumption-investment problems with transaction costs: Survey and open problems44 cited

2002Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs41 cited

1997Numerical analysis of a free-boundary singular control problem in financial economics39 cited

2009Penalty Approach to the HJB Equation Arising in European Stock Option Pricing with Proportional Transaction Costs37 cited

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2004A geometric approach to portfolio optimization in models with transaction costs32 cited

2011An HMM approach for optimal investment of an insurer24 cited